Banks are important actors of the securitisation market, as originators, sponsors and as well as investors, it is therefore essential that banks are not excessively penalised in terms of capital requirements for securitisation they hold in their banking book (and by the way in the trading book) when STC criteria compliant. In many instances securitisations on high quality pools of loans (e.g. for RMBSs) is done only for liquidity management purposes (rather than capital relief).
An improvement in the prudential treatment of STC securitisations would be to increase flexibility in the application of the new BCBS hierarchy of approaches.
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